I can only tell you with confidence that many brand's of Zapper are designed to include a protective "short-circuit" path in the output circuit. This can be accomplished through the simple addition of one or more components (resistor, capactior, etc) that will be a conduit short circuit current IF AND WHEN is happens. In other words, by today's standards of commercial electronics, it is pretty common AND pretty easy to include in the design a sub-circuit that specifically anticipates the situation of short-circuit occuring anywhere in the overall design, whether it be in the output circuit or other parts of the overall circuitry. FWIW, your handholds in this care are directly part of the output circuit.
What I do not know is if the zapperplans design you have includes such protective plans.... but I gotta imagine somebody around here knows the answer to this. If your unit has such a protective circuit, then as far as "what did happen?", then nothing, theoretically, of consequence (damage) happened.
If your unit does not have such a protective circuit, then there are a variety of things that may (operative word) have happened from a one-time incident of short-circuit: 1) your unit immediately fried itself, just like fuse "pops" due to the short circuit; 2) your unit did not completely render itself useless....yet, but it may have been weakened enough that the net effect is that it's useful life has been significantly shortened and, upon further use, will soon become defective (IE> stop working); 3) you got lucky, in part due to the inherent vagaries of commercial electronics , and your unit may continue to function as designed for a long time.
Edit: strange CZ feature? When I first replied to this thread, the last response I saw listed was the second post from OntarioGabe from "69 hours ago". Now that I've replied, I see the forum is now indicating there was a subsequent reply, after Gabe's second, and before my first, from PZ, and it occured supposedly "4 days" after Gabe's first...... ?...strange phenom, that. Anyway, I think PZ's comments is the short way saying what I suggested through a much longer route - your unit IS designed with a protective short-circuit circuit. :)